Egloff, Daniel; Leippold, Markus; Wu, Liuren - In: Journal of Financial and Quantitative Analysis 45 (2010) 05, pp. 1279-1310
This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of...